SQL Diagnostic Manager offers you different types of authentication connections, such as:
Windows Authentication is the recommended collection type as SQL Diagnostic Manager uses many SQL trace statements that require a trusted connection. When you choose to use Windows Authentication, the SQLdm Collection Service uses the account it is running to connect to the SQL Server instance.
SQL Server Authentication is the typical authentication used for various database systems and requires a username and a password. You can use this type of authentication when using shared servers to access different databases or using a remote computer or connection.